Latest monitoring of how banks are performing against the fully phased-in Basel 3.
The Basel Committee and the EBA have published their latest monitoring of how banks are performing against the fully phased-in Basel 3 (or CRR/CRD4 in Europe) capital, leverage and liquidity standards as specified in 2015, using end-June 2017 data.
BCBS - Basel III Monitoring Report (PDF 2.83 MB)
EBA - CRD IV - CRR/BASEL III MONITORING EXERCISE (PDF 1.64 MB)
All major banks continue to meet the minimum CET1 capital and leverage ratios. All G-SIBs meet the fully phased in LCR and NSFR liquidity standards. Far fewer banks now have any shortfall against the forthcoming 100% minimum LCR (by 2019 under the Basel standard and by 2018 under EU rules) and NSFR requirements (by 2018).
Both the Basel Committee and the EBA samples show further improvements in the aggregate capital, leverage, liquidity ratios and total loss absorbing capacity positions since end-December 2016; and substantial improvements in the position of the worst performing bank against each of these requirements.
Table: Main results of the Basel 3 monitoring exercises using end-June 2017 data
|Basel Group 1||Of which Basel G-SIBs||Shortfalls||EBA Group 1||Shortfalls|
|Sample||106 large internationally active banks||30 G-SIBs||45 internationally active banks (with tier 1 capital in excess of €3 billion)|
|CET1 capital ratio (%)||12.5||12.4||
Lowest Group 1 bank at 7.6%; lowest G-SIB at 9.6%.
|Leverage ratio (%)||5.8||5.7||
Lowest Group 1 bank at 3.2%; lowest G-SIB at 3.2%.
None against current minimum LCR requirement of 80% in 2017.
All G-SIBs and all but one group 1 bank also meet the final 100% LCR requirement.
Lowest Group 1 bank at 99%; lowest G-SIB at 110%.
|138||All banks meet the final LCR minimum of 100%.|
All G-SIBs and 93% of group 1 banks at or above the minimum NSFR of 100% (applicable from January 2018).
Lowest Group 1 bank at 94%; lowest G-SIB at 101%.
80% of banks at or above the minimum NSFR of 100%.
Lowest at 80%.
Source: KPMG International, March 2018
Major European banks continue to improve their capital and leverage ratios by both increasing their capital resources and reducing their RWAs, whereas major banks elsewhere in the world have maintained or even increased their RWAs.
The Basel Committee also reports on the progress made by G-SIBs in meeting the requirements for total loss absorbing capacity (TLAC). This shows that four of the 25 G-SIBs reporting their TLAC positions would fail to meet the minimum requirements that will apply in 2019, with a combined shortfall of €30 billion. The largest individual shortfall is equivalent to 3.8% of the bank's RWAs. 10 G-SIBs would not meet the higher requirements that will apply from 2022, with a combined shortfall of €109 billion (and a largest individual shortfall of 5.9% of RWAs).
Basel 4 may in due course reveal significant shortfalls that are not covered in the Basel and EBA exercises. The monitoring exercises relate only to Basel 3 (the parts of the Basel framework finalised by 2015); and the minimum CET1 capital ratio covers only the 4.5% absolute minimum, the capital conservation buffer of 2.5%, and any G-SIB capital surcharge.
The analysis does not cover: